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If your firewall is disabled there would be nothing to stop files being downloaded to your system
no my firewall is enable
Well the WSC is reporting something that it monitors is disabled/out of date, etc. What does it say when you double click it (it will show what it is monitoring) ?
If you have a modem/router/firewall it is entirely possible that the WSC doesn't detect it. The other issue is that most hardware router/firewalls don't provide any outbound protection/monitoring. It should be capable of blocking unauthorised outbound Internet Connections.
Any malware that manages to get past your defences will have free reign to connect to the internet to either download more of the same, pass your personal data (sensitive or otherwise, user names, passwords, keylogger retrieved data, etc.) or open a backdoor to your computer, so outbound protection is essential.
You are running HJT from the desktop and it should be in its own folder, it can be installed to any location C:\HJT for example.
C:\Documents and Settings\Calypso\Desktop\HiJackThis.exe